Convenience lost

• 成果类型: Article
• 署名作者: Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony
• 署名单位: Northwestern University; National Bureau of Economic Research; New York University; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104347
• 发表日期: 2026-10
• 页码: 104347
• 关键词: Convenience yield; Seigniorage revenue; Fiscal Capacity; MODEL

摘要

Using an instrument for U.S. Treasury supply, we show that convenience yields on medium-and longterm Treasurys are much more sensitive to supply than those on short-term Treasurys, which respond little. Over the past two decades, fiscal expansion has substantially reduced medium-and long-term convenience yields, at times pushing them below zero, while short-term convenience yields have declined toward zero. Quantitatively, we estimate that increased Treasury supply explains a large share of the secular decline in medium-and long-term convenience yields, lowering the total seigniorage revenue from Treasury issuance by about one-third.